ActiveX Document DLL

Ok I will try to explain the problem. Basically I was just wondering if anyone has run across it.

I created a VB Project [type: ActiveX Document DLL]
I put a few controls on it. Ran it.

This is what happens:
IE5 comes up with my compiled document of type .vbd
When I close IE5 my program does not stop. I have to manually hit the stop button.
This is fine... but sometimes i stop it.... then re-Run it ... and this is the problem.. ( IE5 comes up again .. but tries to download / open a file ) .. it asks for the program in which to open the file with....

this does not make sense to me.... i have to start over and recreate the project just so it works properly again..

does anyone know what i'm talking about?

thanks